The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis

This paper revisits the role of the yield spread to forecast recessions in the Euro Area. We show that the contribution of the spread can be decomposed into the effect of future expected changes in short term rates and the effect of the term premium. This decomposition is achieved with the use of a...

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Bibliographic Details
Main Author: Cruz, João Pedro de Brito (author)
Format: masterThesis
Language:eng
Published: 2016
Subjects:
Yield spread
Expectations component
Term premium
Monetary policy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/18581
Country:Portugal
Oai:oai:run.unl.pt:10362/18581

Internet

http://hdl.handle.net/10362/18581

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